1. Prices and Asymptotics for Discrete Variance Swaps
2. returns assetNAs <-apply(retSubset, 2, sumIsNa) zeroNAs <-which(assetNAs == 0) priceSubset <-priceSubset[, zeroNAs] retSubset <-retSubset[, zeroNAs] #remove perfectly correlated assets retCors <-cor(retSubset) diag(retCors) <-NA corMax <-round(apply(retCors, 2, max, na.rm = TRUE), 7) while(max(corMax) == 1) { ones <-which;kellerCLAfun <-function(prices, returnWeights = FALSE, weightLimit, volThresh, uncappedAssets) { if(sum(colnames(prices) %in% uncappedAssets) == 0) { stop
3. Mean-Variance Investing
4. Optimal Momentum: A Global Cross Asset Approach
5. Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay